Mixed Fractional CEV Model with Stochastic Volatility and the Pricing of European Options

Please use this identifier to cite or link to this item: https://ir.vidyasagar.ac.in/jspui/handle/123456789/5474

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DC Field	Value	Language
dc.contributor.author	Sun, Yudong	-
dc.contributor.author	Wanshan, Xie	-
dc.date.accessioned	2020-10-14T06:20:14Z	-
dc.date.available	2020-10-14T06:20:14Z	-
dc.date.issued	2020-10-16	-
dc.identifier.issn	2350-0352	-
dc.identifier.uri	http://inet.vidyasagar.ac.in:8080/jspui/handle/123456789/5474	-
dc.description	PP:21-30	en_US
dc.description.abstract	In this work, we study the existence, uniqueness and continuity of solution to tock price equation of CEV model with stochastic volatility in fixed fractional Brown motion. Besides, we show a Monte Carlo simulation based on the discretization method to price the European option.	en_US
dc.language.iso	en	en_US
dc.publisher	Registrar , Vidyasagar University , Midnapore , West Bengal , India , 721102	en_US
dc.subject	Mixed fractional CEV model	en_US
dc.subject	Strong solution	en_US
dc.subject	Uniqueness	en_US
dc.subject	Continuity	en_US
dc.subject	Existence	en_US
dc.title	Mixed Fractional CEV Model with Stochastic Volatility and the Pricing of European Options	en_US
dc.type	Article	en_US
Appears in Collections:	Journal of Physical Sciences Vol.25 [2020]

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